It isn't officially supported under Vista yet though *AFAIK* (Live 6)
and given that we are coming up to Live 7, it may never be.
(like Cubase's 4.1 update is the first Cubase officially 'supported' to run on Vista) Because Cakewalk has a close relationship with MS (adopting DX as their standard plugins, rumored to be making a 'garageband for vista' together etc., they got their system approved and compatible first in Sonar 6.2 PE
and Vista still is way behind on driver support for audio interfaces (PCI, USB or firewire), midi drivers and the fact that too many things just don't sit too well with it right now. But it does run Microsoft Office and internet explorer 7 well, if you ever wanted to use such things
I would say, as inconvenient as it may be, that if you want to get work done using a windows PC that dual booting XP is not such a bad idea, even if it is a major hassle. Vista might be working well in a year's time or so after a service pack or two.